Yes, the direction changes continuously — at every single instant. The velocity at a point is directed along the tangent to the circle at that point, in the direction of motion, and the tangent turns as the object goes round.
The book's argument with the rectangular and hexagonal tracks (Fig. 4.23) shows why. On a rectangle the runner changes direction 4 times per lap; on a hexagon, 6 times. Increase the number of sides and the turns become more frequent and each one smaller. In the limit, the track becomes a circle — each side shrinks to a point, and the turning never stops.
Why it happens: velocity is not a number, it is a magnitude and a direction. A change in either one is a change in velocity, and a changing velocity means non-zero acceleration. So uniform circular motion is accelerated motion, even though the speedometer reading would never move. We usually say a vehicle is "accelerating" only when its speed changes, and so we miss the acceleration that a car actually has while taking a circular turn at a steady speed.
Check it yourself: Activity 4.5 makes the tangent visible. Lift the ring while the marble is circling inside it, and the marble shoots off in a straight line — along the tangent at the instant it was freed, which is the direction its velocity had at that moment.